Diagnostic Expectations and Credit Cycles

• 成果类型: Article
• 署名作者: Bordalo, Pedro; Gennaioli, Nicola; Shleifer, Andrei
• 署名单位: University of Oxford; Bocconi University; Bocconi University; Harvard University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12586
• 发表日期: 2018
• 页码: 199-227
• 关键词: model; probability; returns; prices; debt

摘要

We present a model of credit cycles arising from diagnostic expectationsa belief formation mechanism based on Kahneman and Tversky's representativeness heuristic. Diagnostic expectations overweight future outcomes that become more likely in light of incoming data. The expectations formation rule is forward looking and depends on the underlying stochastic process, and thus is immune to the Lucas critique. Diagnostic expectations reconcile extrapolation and neglect of risk in a unified framework. In our model, credit spreads are excessively volatile, overreact to news, and are subject to predictable reversals. These dynamics can account for several features of credit cycles and macroeconomic volatility.